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Rendite und Kapitalkosten

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  • Laitenberger, Jörg

Abstract

Zur Bewertung von Investitionsprojekten mit mehrperiodigen Zahlungen können die erwarteten Zahlungen mit geeigneten Kapitalkosten diskontiert werden. Die Kapitalkosten werden in der Regel als die erwartete einperiodige Rendite der Investition bestimmt, wobei häufig auf Kapitalmarktmodelle wie das CAPM zurückgegriffen wird, die die erwartete Rendite als die Summe der risikolosen Rendite und einer Risikoprämie ermitteln. In dieser Arbeit wird gezeigt, dass die einperiodigen Renditen nur unter bestimmten Annahmen die geeigneten Kapitalkosten darstellen. Wenn zwischen den einperiodigen Renditen Autokorrelation auftritt, dann ist ein zusätzlicher Korrekturterm bei der Ermittlung der Kapitalkosten zu berücksichtigen. Im weiteren Verlauf der Arbeit wird analysiert, wie sich in Abhängigkeit der zeitlichen Auflösung der Unsicherheit die Kapitalkostenformeln ändern. Dabei stellt sich heraus, dass die Annahmen an die Risikoauflösung für die Zahlungen der Investition alleine keinerlei erklärende Kraft haben. Nur in Verbindung mit Annahmen an die Entwicklung der Zustandspreise können einfache und intuitive Relationen hergeleitet werden.

Suggested Citation

  • Laitenberger, Jörg, 2004. "Rendite und Kapitalkosten," Hannover Economic Papers (HEP) dp-295, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-295
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-295.pdf
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    References listed on IDEAS

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    1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    2. Laitenberger, Jörg & Löffler, Andreas, 2002. "Capital Budgeting in Arbitrage-Free Markets," Hannover Economic Papers (HEP) dp-258, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    4. M. J. Brennan, 1997. "The Term Structure of Discount Rates," Financial Management, Financial Management Association, vol. 26(1), Spring.
    5. Wilhelm, Jochen, 2003. "Unternehmensbewertung: Eine finanzmarkttheoretische Untersuchung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 10, University of Passau, Faculty of Business and Economics.
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    Cited by:

    1. Marc Steffen Rapp, 2006. "Die arbitragefreie Adjustierung von Diskontierungssätzen bei einfacher Gewinnsteuer," Schmalenbach Journal of Business Research, Springer, vol. 58(6), pages 771-806, September.

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    More about this item

    Keywords

    Unternehmensbewertung; Kapitalkosten; autokorrelierte Renditen;
    All these keywords.

    JEL classification:

    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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